A slow week in economic exporting with only one major report: Housing starts on Wednesday at 8:30 a.m. New York time.
Author: Tim Bovee
JNJ Analysis
Johnson & Johnson (JNJ)
JNJ publishes earnings on Tuesday before the opening bell.
I shall use options that trade for the last time 11 days later, on July 28.
Implied volatility stands at 16%, which is 1.6 times the VIX, a measure of the volatility of the S&P 500 index.
JNJ’s IV stands in the 49th percentile of its annual range and the 70th percentile of its most recent broad movement.
USB Analysis
U.S. Bancorp (USB)
USB publishes earnings on Wednesday before the opening bell.
I shall use options that trade for the last time 10 days later, on July 28.
Implied volatility stands at 25%, which is 2.6 times the VIX, a measure of the volatility of the S&P 500 index.
USB’s IV stands in the 96th percentile of its annual range and the 91st percentile of its most recent broad movement.
IBM Analysis
International Business Machines Corp. (IBM)
Update 7/24/2017: IBM gapped downward after earnings were published and continued its decline for the next three days. I exited as expiration approached.
Shares declined by 4.7% over 10 days, or a -172% annual rate. The options position produced a 32.7% loss on debit for a -1,194% annual rate.
IBM publishes earnings on Tuesday after the closing bell.
I shall use options that trade for the last time 10 days later, on July 28.
Implied volatility stands at 24%, which is 2.4 times the VIX, a measure of the volatility of the S&P 500 index.
IBM’s IV stands in the 67th percentile of its annual range and the 90th percentile of its most recent broad movement.
CSX Analysis
CSX Corp. (CSX)
Update 7/24/2017: CSX gapped downward by about $1.50 after earnings were published and declined further that day, then entered a sideways movement. I exited as expiration approached.
Shares declined by 6.1% over 10 days, or a -222% annual rate. The options position produced a -27.4% loss on debit for a -1,000% annual rate.
CSX publishes earnings on Tuesday after the closing bell.
I shall use options that trade for the last time 10 days later, on July 28.
Implied volatility stands at 34%, which is 3.5 times the VIX, a measure of the volatility of the S&P 500 index.
CSX’s IV stands in the 71st percentile of its annual range and the 84th percentile of its most recent broad movement.
HOG Analysis
Harley-Davidson Inc. (HOG)
Update 7/24/2017: HOG gapped downward after earnings were published and then rose to recover a portion of the decline, and I exited as expiration approached.
Shares declined by 5.4% over 10 days, or a -198% annual rate. The options position produced a 0.1% yield on debit for a +35% annual rate.
HOG publishes earnings on Tuesday before the opening bell.
I shall use options that trade for the last time 11 days later, on July 28.
Implied volatility stands at 39%, which is four times the VIX, a measure of the volatility of the S&P 500 index.
HOG’s IV stands in the 66th percentile of its annual range and the 86th percentile of its most recent broad movement.
NFLX Analysis
Netflix Inc. (NFLX)
Update 7/24/2017: NFLX shot up after earnings were published, moving it beyond the range of profitability, and I exited as expiration approached.
Shares rose by 18.4% over 10 days, or a +670% annual rate. The options position produced a 43.7% loss on debit for a -1,594% annual rate.
NFLX publishes earnings on Monday after the closing bell.
I shall use options that trade for the last time 11 days later, on July 28.
Implied volatility stands at 46%, which is 4.7 times the VIX, a measure of the volatility of the S&P 500 index.
NFLX’s IV stands in the 56th percentile of its annual range and the 90th percentile of its most recent broad movement.
Live: Friday, July 14, 2017
FHN Analysis
First Horizon National Corp. (FHN)
FHN publishes earnings on Friday before the opening bell.
I shall use options that trade for the last time eight days hence, on July 21.
Implied volatility stands at 25%, which is 2.5 times the VIX, a measure of the volatility of the S&P 500 index.
FHN’s IV stands in the 52nd percentile of its annual range and the 48th percentile of its most recent broad movement.
PNC Analysis
The PNC Financial Services Group Inc. (PNC)
PNC publishes earnings on Friday before the opening bell.
I shall use options that trade for the last time eight days hence, on July 21.
Implied volatility stands at 23%, which is 2.3 times the VIX, a measure of the volatility of the S&P 500 index.
PNC’s IV stands in the 46th percentile of its annual range and the 40th percentile of its most recent broad movement.
Tim Bovee, Private Trader 
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